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Synthetic Cdo Pricing
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Book Synopsis Pricing and Risk Management of Synthetic CDOs by : Anna Schlösser
Download or read book Pricing and Risk Management of Synthetic CDOs written by Anna Schlösser and published by Springer Science & Business Media. This book was released on 2011-02-04 with total page 274 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book considers the one-factor copula model for credit portfolios that are used for pricing synthetic CDO structures as well as for risk management and measurement applications involving the generation of scenarios for the complete universe of risk factors and the inclusion of CDO structures in a portfolio context. For this objective, it is especially important to have a computationally fast model that can also be used in a scenario simulation framework. The well known Gaussian copula model is extended in various ways in order to improve its drawbacks of correlation smile and time inconsistency. Also the application of the large homogeneous cell assumption, that allows to differentiate between rating classes, makes the model convenient and powerful for practical applications. The Crash-NIG extension introduces an important regime-switching feature allowing the possibility of a market crash that is characterized by a high-correlation regime.
Book Synopsis Pricing Counterparty Credit Risk for Synthetic CDO Tranches by : 李育松
Download or read book Pricing Counterparty Credit Risk for Synthetic CDO Tranches written by 李育松 and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Synthetic CDOs written by Craig Mounfield and published by Cambridge University Press. This book was released on 2009 with total page 386 pages. Available in PDF, EPUB and Kindle. Book excerpt: Details the latest models and techniques in quantitative and computational modelling of synthetic Collateralised Debt Obligations.
Book Synopsis Synthetic CDO Pricing by : Conghui Hu
Download or read book Synthetic CDO Pricing written by Conghui Hu and published by . This book was released on 2015 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: The underlying asset pool of collateral debt obligations (CDOs) simultaneously encompasses credit risk and market risk. However, the standard CDO pricing model not only underestimates the risk to the asset pool due to a poor description of the correlation structure among obligors but is also incapable of reflecting the impacts of interdependent markets, credit risks and systematic sudden shocks on the asset pool. This paper studies the joint impact of interrelated market and credit risk factors on the key inputs of CDO pricing (default probability, default correlation and default loss rate) under the framework of factor copula CDO pricing model and constructs a risk-integrated model for CDO pricing. In addition, we extend the static integrated model to a dynamic version by allowing the risk factors driven by the copula-GARCH process. The simulation results show that, compared with an integrated model, the premium of senior tranches is significantly lower under the standard model. Such difference is mainly due to different assumptions of the distributions of risk-driving factor.
Book Synopsis Pricing Synthetic CDO Tranche on ABS Asset by :
Download or read book Pricing Synthetic CDO Tranche on ABS Asset written by and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Pricing Synthetic CDO Tranche on ABS by : Yan Li
Download or read book Pricing Synthetic CDO Tranche on ABS written by Yan Li and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Understanding the Risk of Synthetic CDOs by : Michael S. Gibson
Download or read book Understanding the Risk of Synthetic CDOs written by Michael S. Gibson and published by . This book was released on 2004 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Collateralized Debt Obligations by : Laurie S. Goodman
Download or read book Collateralized Debt Obligations written by Laurie S. Goodman and published by John Wiley & Sons. This book was released on 2002-11-25 with total page 386 pages. Available in PDF, EPUB and Kindle. Book excerpt: A practical guide to the features and investment characteristics of CDOs In the bond area, collateralized debt obligations, which include collateralized bond obligations and collateralized loan obligations, are the fastest-growing sector. Collateralized Debt Obligations: Structures and Analysis describes the various products in this area-cash flow CDOs, market value CDOs, synthetic CDOs, etc.-and explains how to evaluate them. With this book as their guide, investment managers and institutional investors alike will learn how to analyze the risks associated with CDOs, create a portfolio of CDO products, and assess trading opportunities in the secondary market.
Book Synopsis Pricing Synthetic CDO Tranches in a Model with Default Contagion Using the Matrix-analytic Approach by : Alexander Herbertsson
Download or read book Pricing Synthetic CDO Tranches in a Model with Default Contagion Using the Matrix-analytic Approach written by Alexander Herbertsson and published by . This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Pricing of Synthetic CDO Tranches, Analysis of Base Correlations and an Introduction to Dynamic Copulas by : Frederic Soustra
Download or read book Pricing of Synthetic CDO Tranches, Analysis of Base Correlations and an Introduction to Dynamic Copulas written by Frederic Soustra and published by . This book was released on 2006 with total page 178 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Pricing of Default Correlation in the Synthetic CDO Market by : C. H. De Romance
Download or read book Pricing of Default Correlation in the Synthetic CDO Market written by C. H. De Romance and published by . This book was released on 2006 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Exact Pricing Asymptotics of Investment-Grade Tranches of Synthetic CDO's Part I by : Richard Sowers
Download or read book Exact Pricing Asymptotics of Investment-Grade Tranches of Synthetic CDO's Part I written by Richard Sowers and published by . This book was released on 2009 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: We use the theory of large deviations to study the pricing of investment-grade tranches of synthetic CDO's. In this paper, we consider a simplified model which will allow us to introduce some of the concepts and calculations.
Book Synopsis Collateralized Debt Obligations by : Douglas J. Lucas
Download or read book Collateralized Debt Obligations written by Douglas J. Lucas and published by John Wiley & Sons. This book was released on 2006-08-04 with total page 528 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since first edition's publication, the CDO market has seen tremendous growth. As of 2005, $1.1 trillion of CDOs were outstanding -- making them the fastest-growing investment vehicle of the last decade. To help you keep up with this expanding market and its various instruments, Douglas Lucas, Laurie Goodman, and Frank Fabozzi have collaborated to bring you this fully revised and up-to-date new edition of Collateralized Debt Obligations. Written in a clear and accessible style, this valuable resource provides critical information regarding the evolving nature of the CDO market. You'll find in-depth insights gleaned from years of investment and credit experience as well as the examination of a wide range of issues, including cash CDOs, loans and CLOs, structured finance CDOs and collateral review, emerging market and market value CDOs, and synthetic CDOs. Use this book as your guide and take advantage of this dynamic market and its products.
Book Synopsis Pricing and Hedging Synthetic CDO Tranche Spread Risks by : Michael Sherris
Download or read book Pricing and Hedging Synthetic CDO Tranche Spread Risks written by Michael Sherris and published by . This book was released on 2009 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: The recent credit crisis has focussed attention on the models used for pricing and assessing risk of structured credit transactions including bespoke CDO's. There are many models that have been proposed for pricing bespoke CDO's including the base correlation mapping methods with the market standard Gaussian copula model as well as the implied copula models. Methods commonly used in the market for hedging and pricing bespoke CDO's make explicit assumptions for the relationship between default probability and default correlation and calibrate the model to current CDO prices only. The ability of a model to hedge CDO tranche spread risks using a credit index is closely related to it's ability to price CDOs on bespoke portfolios. This paper examines the measurement and hedging of synthetic CDO tranche spread risks based on market spread data following the sub-prime crisis. A range of methods proposed for pricing bespoke CDOs are examined to assess their ability to hedge the credit spread risk. The methods assessed are calibrated to the traded CDO index spread and then compared based on the mean absolute pricing errors over a time period including the sub-prime crisis. Standard pricing methods and variations used to price bespoke CDOs generally perform poorly in hedging credit spread risk. Past data can be used to improve the performance of the methods. The results of this analysis also raise concerns with the accuracy of quot;mark-to-modelquot; valuations of bespoke CDOs using standard market methods.
Book Synopsis The Pricing of Standard and Non-standard Synthetic CDO Tranches Using the Normal Inverse Gaussian Copula by :
Download or read book The Pricing of Standard and Non-standard Synthetic CDO Tranches Using the Normal Inverse Gaussian Copula written by and published by . This book was released on 2007 with total page 65 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Advances in Mathematical Finance by : Michael C. Fu
Download or read book Advances in Mathematical Finance written by Michael C. Fu and published by Springer Science & Business Media. This book was released on 2007-06-22 with total page 345 pages. Available in PDF, EPUB and Kindle. Book excerpt: This self-contained volume brings together a collection of chapters by some of the most distinguished researchers and practitioners in the field of mathematical finance and financial engineering. Presenting state-of-the-art developments in theory and practice, the book has real-world applications to fixed income models, credit risk models, CDO pricing, tax rebates, tax arbitrage, and tax equilibrium. It is a valuable resource for graduate students, researchers, and practitioners in mathematical finance and financial engineering.
Book Synopsis Saddlepoint Approximation for Pricing and Hedging Synthetic CDO by :
Download or read book Saddlepoint Approximation for Pricing and Hedging Synthetic CDO written by and published by . This book was released on 2008 with total page 94 pages. Available in PDF, EPUB and Kindle. Book excerpt:
